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Announcements of ECB unconventional programs : implications for the sovereign risk of Italy
Falagiarda, Matteo; Reitz, Stefan - 2013
This paper studies the effects of ECB communications about unconventional monetary policy operations on the perceived sovereign risk of Italy over the last five years. More than fifty events concerning non-standard operations are identified and classified with respect to the specific ECB...
Persistent link: https://www.econbiz.de/10009783711
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Sovereign contagion in Europe : evidence from the CDS market
Manasse, Paolo; Zavalloni, Luca - 2013
This paper addresses the following questions. Is there evidence of financial contagion in the Eurozone? To what extent … matter concerning the Euro Zone. Second, differences in vulnerability to contagion within the Eurozone are even more … remarkable: the core Eurozone members become less vulnerable to EUZ contagion, possibly due to a safe-heaven effect, while …
Persistent link: https://www.econbiz.de/10011731038
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Euro Crisis : From the Sovereigns to the Banks and Back to the Sovereigns
Gurdgiev, Constantin - 2011
The global financial crisis of 2007-2009 crystallized the underlying imbalances that are currently acting to tear apart the Euro area monetary and fiscal systems by focusing markets and public attention on the core cause of the overall Euro crisis, the insolvency of the Euro area member-states...
Persistent link: https://www.econbiz.de/10013122727
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Measuring connectedness of Euro area sovereign risk
Gätjen, Rebekka; Schienle, Melanie - 2015
We introduce a methodology for measuring default risk connectedness that is based on an out-of-sample variance decomposition of model forecast errors. The out-of-sample nature of the procedure leads to "realized" measures which, in practice, respond more quickly to crisis occurrences than those...
Persistent link: https://www.econbiz.de/10010503874
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The Liquidity Effects of Official Bond Market Intervention
De Pooter, Michiel - 2016
To "ensure depth and liquidity," the European Central Bank intervened in sovereign debt markets through its Securities Markets Programme (SMP), providing a unique opportunity to estimate the effects of large-scale asset purchases on sovereign bond liquidity premia. From reduced-form estimates,...
Persistent link: https://www.econbiz.de/10013007977
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Quantitative Easing and Sovereign Bond Yields : A Global Perspective
Malliaropulos, Dimitris; Migiakis, Petros M. - 2022
points for B rated sovereigns. Fiscally weaker Eurozone countries benefited most from Quantitative Easing, with their …
Persistent link: https://www.econbiz.de/10013491889
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Sovereign spreads and the effects of fiscal austerity
Anzoategui, Diego - 2021
I analyze the impact of austerity on sovereign spreads. To do so I propose a model with strategic sovereign default and nominal rigidities where the government follows fiscal rules, which are estimated from data. I first analyze the theoretical implications of the model and find that austerity...
Persistent link: https://www.econbiz.de/10012663666
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The ser spread under the ECB quantitative easing
Jakl, Jakub - In: European financial and accounting journal : EFAJ 14 (2019) 2, pp. 43-70
perceived as an important indicator of interbank trust in the Eurozone and its elevated level normally signals distortion and … markets and especially within monetary policy in the Eurozone could have impaired the ability of the SER spread to act as a …
Persistent link: https://www.econbiz.de/10012201996
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Flow effects of central bank asset purchases on euro area sovereign bond yields : evidence from a natural experiment
De Santis, Roberto A.; Holm-Hadulla, Fédéric - 2017
We estimate the response of euro area sovereign bond yields to purchase operations under the ECB's Public Sector Purchase Programme (PSPP), using granular data on all PSPP-eligible securities at daily frequency. To avoid simultaneity bias in the estimated relationship between yields and purchase...
Persistent link: https://www.econbiz.de/10011648320
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Decomposing the term structures of local currency sovereign bond yields and sovereign credit default swap spreads
Tsuruta, Masaru - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-30
Persistent link: https://www.econbiz.de/10012659594